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We deal with numerical computation of the nonlinear partial differential equations (PDEs) of Black–Scholes type which incorporate the effect of transaction costs. Our proposed technique surmounts the difficulty of infinite domains and unbounded values of the solutions. Numerical implementation shows the validity of our scheme.
This paper deals with the problem of risk measurement under mixed operation. For this purpose, we divide the basic risks into several groups based on the actual situation. First, we calculate the bounds for the subsum of every group of basic risks, then we obtain the bounds for the total sum of all the basic risks. For the dependency relationships between the basic risks in every group and all of the subsums, we give different copulas to describe them. The bounds for the aggregated risk under mixed...
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